Derivatives pricing, valuation and risk management software provider SuperDerivatives has added credit value adjustment (CVA) calculations for over-the-counter derivatives portfolios to its eValueX multi-asset valuation service, its CorporeX corporate risk and compliance system and its SDX structured products pricing system.
The new CVA solution is aimed at enabling institutions to quantify and manage counterparty credit risk, allowing users to define a CVA method that suits their bespoke valuation requirements, including mark-to-market valuations and pricing of new contracts to reflect the inherent counterparty credit risk associated with trades that are not fully collateralised.
“With the regulatory changes in accounting coming into effect at the start of next year, we noticed a distinct need among corporates for a CVA solution that would enable them to evaluate and report their exposure to counterparty credit risk, said Dr. Yuval Levy, chief technology officer at SuperDerivatives.
The system also includes netting and aggregation to help calculating potential future exposure to counterparty credit risk.
SuperDerivatives said the solution has already been deployed by a number of large auditing firms and corporations to help them comply with upcoming changes in accounting regulations.
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